Open your task manager via "crlt&alt + hitting the "delete" button once. Then do to the process tab and see whether there is a LW process running, If so, force it to end.
Then try to delete the remaining files. If that doesn't solve the problem do the following... search your computer for all files named "limewire" by going to Start>Search>Files and Folders. Delete all files you find.
Then open your registry by Start>Run and typing "regedit". There you go to "Edit>Find" and make also a search with the same query. Delete all keys of limewire.